動能投資策略-以國內股票型基金為例

Momentum Strategy : Using Taiwan’s Open-end Equity Funds as an example

吳哲嘉(Zhe-Jia Wu)

指導教授 ： 顧廣平

淡江大學/商學院/財務金融學系碩士班/碩士(2012年)

https://doi.org/10.6846/TKU.2012.00437

摘要

本研究參考Jegadeesh and Titman (1993)的方法，並以基金過去報酬、夏普指標、簡森指標、崔納指標和資訊比率，當作建立投資組合的主要指標。觀察在不同指標組合及不同持有期間下之動能策略的平均報酬率。實證發現，國內的股票型基金確實存在動能效應，投資者可以透過動能策略建立投資組合並得到顯著大於零的平均報酬，但此效果會隨著時間而減弱。
在單因子動能策略中，所有指標的績效持續性都至少存在一年，此外除了過去3年報酬率(ROI 36)以外的指標，甚至可長達兩年之久。而在二因子動能策略下，大多數組合都能有一年以上的績效持續性。研究發現，在多考慮一種指標後，將有助於平均報酬率的提升，平均報酬率增加的幅度依然會有遞減的情形出現，但卻無法提升績效的持續性，在某些組合反而會使績效的持續性減弱。最後本研究建議，在建立動能策略投資策略時應該同時考慮並且慎選兩種指標，雖然在績效持續性方面的幫助不大，卻能有效提升投資組合的平均報酬率。

關鍵字

動能策略 ； 股票型基金

並列摘要

Employed the Price Momentum Strategy of Jegadeesh and Titman (1993), this study takes pass return of mutual fund, Sharp ratio, Jensen index, Treynor index and Information ratio as major indicators of investment portfolios to investigate the average return of momentum strategy under these portfolios with different holding periods. The empirical results show that there exists the momentum strategy in Taiwan’s equity fund market. Investors can get a significant positive average return by setting up their investment portfolio using the momentum strategy; however, this effect will be declined with time.
Under the one way strategy, the performance persistence of all indicators exists at least for one year; with this strategy, the effect can even be lasted for two years, except for the Return on Investment 36 (ROI 36),. For the two way strategies, most of the portfolios’ performance persistence can be kept for one year and above. The study, in one hand, indicates that the two way strategies has better average return compared to the one way strategy; nevertheless, the increasing magnitude in average return can also be declined in some cases. In the other hand, it also exhibits that the two way strategies do not help to improve the performance persistence, but in some investment portfolios, deteriorates their performance persistence instead. Finally, the study suggests that one should consider choosing two way strategies when constructing an investment portfolio under the momentum strategy. Although it does not benefit much in performance persistence, but do help improving the average return of investment portfolio.

並列關鍵字

Momentum Strategy ； Open-end Equity Funds

參考文獻

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